Abstarct: This article study the effect of prospect theory on stock returns and the role of this variable on the effect of idiosyncratic volatility on stock returns in companies listed on the Tehran Stock Exchange. This study was conducted using a sample of 120 companies listed on the Tehran Stock Exchange in the period 1386-1398 and using the Fama-Macbeth regression approach. The results show that the average return on stock has been significantly reduced by increasing the value of prospect theory by controlling the effects of idiosyncratic volatility. The results obtained regarding the role of prospect theory in the effect of idiosyncratic volatility on stock over-return show that the type of idiosyncratic volatility impact on stock return has been influenced by prospect theory. The results obtained from the supplementary test using Fama-French multifactor models show that the level of having the value of prospect theory leads to a significant difference in the alpha coefficient of different portfolios and by increasing the value of prospect theory from the coefficient Alpha portfolio has been reduced, which again confirms the negative and significant effect of the amount of prospect theory on the impact of idiosyncratic volatility on stock return.